Abstract
Copula models with finite parameters are widely used to describe the joint distribution of default times. But it is not clear whether these copula models are dynamically consistent. The authors show that the set of copula models that are dynamically consistent and satisfy some technical regularity conditions, is a set of the first category in the Baire sense in a certain space of copula functions with finite parameters.
JEL classification: G12
Mathematics Subject Classification (2010): 60G44, 91G40
Research supported by the 21st century COE project, Graduate School of Mathematical Sciences, The University of Tokyo.
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Kusuoka, S., Nakashima, T. (2012). A remark on credit risk models and copula. In: Kusuoka, S., Maruyama, T. (eds) Advances in Mathematical Economics Volume 16. Advances in Mathematical Economics, vol 16. Springer, Tokyo. https://doi.org/10.1007/978-4-431-54114-1_3
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DOI: https://doi.org/10.1007/978-4-431-54114-1_3
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